Inspired by Peano space-filling curves (PSCs), this study introduced the space-filling structure design concept to novel thin-walled sandwich structures and fabricated polymer samples by 3D printing technology. The crushing behaviors and energy absorption performance of the PSC multilayer thin-walled sandwich structures and the traditional serpentine space-filling curve (SSC) multilayer thin-walled sandwich structures were investigated using quasi-static compression experiments and numerical analysis. Taking the initial peak crushing force (IPF), specific energy absorption (SEA), and crushing force efficiency (CFE) as evaluation criteria, the effects of geometric parameters, including the curve order, layer height, septa thickness, and wall thickness, on energy absorption performance were comprehensively examined. The results indicated that the energy absorption capacity of the PSC structure was significantly enhanced due to its complex hierarchy. Specifically, the second-order PSC structure demonstrated a 53.2% increase in energy absorption compared to the second-order SSC structure, while the third-order PSC structure showed more than a six-fold increase in energy absorption compared to the third-order SSC structure. Furthermore, a multi-objective optimization method based on the response surface method and the NSGA-II algorithm were employed to optimize the wall thickness and layer height of the proposed novel PSC structures. The optimal solutions suggested that a reasonable wall thickness and layer height were two important factors for designing PSC structures with better energy absorption performance. The findings of this study provide an effective guide for using the space-filling concept with Peano curves for the design of a novel polymer thin-walled energy absorber with high energy absorption efficiency.